When you can choose what weapon you want to use, don't get a cqc weapon, because they have less power, are less accurate, and they take longer to recover from a burst of automatic fire. I usually prefer the M60 LMG or AK-47. Don't get one with a grenade launcher attached because they are always a single shot and you have to reload after every shot. When you choose the weapon on the left you can get a semi-automatic grenade launcher with a 6 shot magazine.
If you almost use all your ammunition, you can reload as many times as you want and you still have that many rounds as you like if you don't run out of ammunition first.
When you are down to red health don't go any where, your suit will heal you.